Backtesting superfund portfolio strategies based on frontier‐based mutual fund ratings

Brandouy, Olivier; Kerstens, Kristiaan; Woestyne, Ignace Van de

doi:10.1002/9781118541531.ch7

Cited by 2 publications

(5 citation statements)

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“…5 In relatively recent times, partly in view of the criticisms of traditional performance measures, some scholars and practitioners have been applying the so-called frontier estimation methodologies from production theory to evaluate mutual fund performance. As indicated by Brandouy et al (2012), since the pioneering study by Sengupta (1989), who was probably the first to introduce an explicit efficiency measure into a Mean-Variance (MV) portfolio model, an increasing number of contributions in this particular field have been found in the literature, seeking to provide an alternative to traditional mutual fund performance.…”

Section: Methodsmentioning

confidence: 99%

“…As a result of these advantages, since the seminal paper of Murthi et al (1997) was published, the number of contributions in this particular field has grown remarkably, some of which have recently been reviewed by Brandouy et al (2012), Glawischnig and Sommersguter-Reichmann (2010) and Kerstens et al (2011a). According to Brandouy et al (2012), this growing literature can be classified in the following categories: (i) models directly transposed from production theory; (ii) models combining traditional performance measures such as those referred to above with additional dimensions; (iii) models directly transposed from portfolio theory; (iv) hedonic price models.…”

Section: Methodsmentioning

confidence: 99%

“…According to Brandouy et al (2012), this growing literature can be classified in the following categories: (i) models directly transposed from production theory; (ii) models combining traditional performance measures such as those referred to above with additional dimensions; (iii) models directly transposed from portfolio theory; (iv) hedonic price models. In the particular case of ethical funds, the number of contributions is much lower, basically including Basso and Funari (2003).…”

Section: Methodsmentioning

confidence: 99%

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Do ethics imply persistence? The case of Islamic and socially responsible funds

Abdelsalam

Duygun

Matallín‐Sáez

et al. 2014

Journal of Banking & Finance

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Citation for published item:edelslmD yF nd huygunD hF nd wtll¡ %nE¡ ezD tFgF nd ortosEeusinD iF @PHIRA 9ho ethis imply persistenec he se of sslmi nd soilly responsile fundsF9D tournl of nking (nneFD RH F ppF IVPEIWRF Further information on publisher's website: Use policyThe full-text may be used and/or reproduced, and given to third parties in any format or medium, without prior permission or charge, for personal research or study, educational, or not-for-prot purposes provided that:• a full bibliographic reference is made to the original source • a link is made to the metadata record in DRO • the full-text is not changed in any way The full-text must not be sold in any format or medium without the formal permission of the copyright holders.Please consult the full DRO policy for further details. Meryem DuygunUniversity of Leicester Juan Carlos MatallínUniversitat Jaume I Emili Tortosa-AusinaUniversitat Jaume I and Ivie January 16, 2014 AbstractWe analyse the performance persistence of Islamic and Socially Responsible Investment (SRI) mutual funds. We adopt a multi-stage strategy in which, in the first stage, partial frontiers' approaches are considered to measure the performance of the different funds in the sample. In the second stage, the results yielded by the partial frontiers are plugged into different investment strategies based on a recursive estimation methodology whose persistence performance is evaluated in the third stage of the analysis. Results indicate that, for both types of funds, performance persistence actually exists, but only for the worst and, most notably, best funds. This result is robust not only across methods (and different choices of tuning parameters within each method) but also across both SRI and Islamic fundsalthough in the case of the latter persistence was stronger for the best funds. The persistence of SRI and Islamic funds represents an important result for investors and the market, since it provides information on both which funds to invest in and which funds to avoid. Last but not least, the use of the aforementioned techniques in the context of mutual funds could also be of interest for the non-conclusive literature.

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Section: Methodsmentioning

confidence: 99%

Section: Methodsmentioning

confidence: 99%

Section: Methodsmentioning

confidence: 99%

See 1 more Smart Citation

Do ethics imply persistence? The case of Islamic and socially responsible funds

Abdelsalam

Duygun

Matallín‐Sáez

et al. 2014

Journal of Banking & Finance

View full text Add to dashboard Cite

show abstract

“…In relatively recent times, some scholars and practitioners have been applying the so-called frontier estimation methodologies from production theory to the analysis of financial problems. As indicated by Brandouy et al (2012), since the pioneering study by Sengupta (1989), who was probably the first to introduce an explicit efficiency measure into a Mean-Variance (MV) portfolio model, a number of contributions in this particular field has increasingly been found in the specialized literature.…”

Section: Mutual Fund Evaluation Using Frontier Techniques: Recent Devmentioning

confidence: 99%

“…As a result of these advantages, the number of contributions in this particular field has grown considerably. Some of the most important papers have recently been reviewed by Brandouy et al (2012); these include Basso and Funari (2003), Choi and Murthi (2001), Galagedera and Silvapulle (2002), Glawischnig and Sommersguter-Reichmann (2010), Murthi et al (1997), or Wilkens and Zhu (2001), to which may be added the new proposals by Kerstens et al (2011) and Lamb and Tee (2012). These, and related studies, can be classified in categories such as those referred to by Brandouy et al (2012), which include: (i) models directly transposed from production theory; (ii) models combining traditional performance measures such as those referred to above with additional dimensions; (iii) models directly transposed from portfolio theory;…”

Section: Mutual Fund Evaluation Using Frontier Techniques: Recent Devmentioning

confidence: 99%

Does active management add value? New evidence from a quantile regression approach

Matallín‐Sáez

Soler‐Domínguez

Tortosa‐Ausina

2019

Journal of the Operational Research Society

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Los documentos de trabajo del Ivie ofrecen un avance de los resultados de las investigaciones económicas en curso, con objeto de generar un proceso de discusión previo a su remisión a las revistas científicas. Al publicar este documento de trabajo, el Ivie no asume responsabilidad sobre su contenido.Ivie working papers offer in advance the results of economic research under way in order to encourage a discussion process before sending them to scientific journals for their final publication. Ivie's decision to publish this working paper does not imply any responsibility for its content.La Serie EC, coordinada por Matilde Mas, está orientada a la aplicación de distintos instrumentos de análisis al estudio de problemas económicos concretos.Coordinated by Matilde Mas, the EC Series mainly includes applications of different analytical tools to the study of specific economic problems.Todos los documentos de trabajo están disponibles de forma gratuita en la web del Ivie http://www.ivie.es, así como las instrucciones para los autores que desean publicar en nuestras series.Working papers can be downloaded free of charge from the Ivie website ResumenWhile it has long been recognized that active management is an important issue in the area of mutual fund performance, little consensus has been reached about the value managers' abilities can add. This study attempts to explore both fund and manager characteristics in order to understand their influence on the efficiency achieved for a sample of Spanish mutual funds. We explore these issues in a two-stage approach, considering partial frontier estimators (order-m and order-α) to assess performance in the first stage, and regression quantiles to isolate the determinants of efficiency in the second stage. Our findings shed light mainly on investors' concerns, since differences do indeed arise among both funds and managers. Our analysis provides some arguments as a guide in selecting funds and some managerial features to be taken into account. In addition, some of the performance differences found among funds are rather intricate because both the magnitude of the estimated regression coefficients and their significance varies depending on the quantile of the distribution of fund performance. AbstractAunque durante mucho tiempo se ha reconocido que la gestión activa es un tema importante en el área de la evaluación del rendimiento de los fondos de inversión, el consenso alcanzado acerca de la contribución al valor añadido de los fondos por las habilidades de los directivos es limitado. Este estudio intenta explorar tanto las características de los gestores como las de los propios fondos en sí mismos con el fin de entender su influencia en la eficiencia conseguida para una muestra de fondos de inversión españoles. Estos temas son explorados a través de un enfoque de dos etapas, teniendo en cuenta los estimadores de fronteras parciales (orden-m y el orden α-) para evaluar el desempeño en la primera etapa, y así como un enfoque de regresión cuantil para analizar los determinantes de ...

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Backtesting superfund portfolio strategies based on frontier‐based mutual fund ratings

Cited by 2 publications

References 55 publications

Do ethics imply persistence? The case of Islamic and socially responsible funds

Do ethics imply persistence? The case of Islamic and socially responsible funds

Does active management add value? New evidence from a quantile regression approach

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